Blogging Options: CBOE Morning Update 10.8.14

Overseas markets soft this morning, while US futures point to a firm opening. 10-year ~2.355%. ~19,500 VIX Futures trade in early session. Alcoa leads off the Q3 earnings season after the close. FOMC Minutes released mid-day. Tekmira, a pharma stock involved in Ebola trials with active stock activity. Volatility as an asset class:

Yum! Brands (YUM) is up $0.47 to $70.20 in the premarket after reporting Q3 EPS ex-items 87c, consensus 89c. October weekly call option implied volatility is at 71, October is at 37, November is at 26, January is at 20, April is at 21; compared to its 26-week average of 23.

Costco (COST) is higher by $2.63 to $127.90 after reporting Q4 EPS $1.58, consensus $1.52. October weekly call option implied volatility is at 34, October is at 22, November is at 18 and January is at 17; compared to its 26-week average of 15.

Symantec (SYMC) is up $1.05 to $24.24 in the premarket on the security, backup and availability solutions company is in advanced talks to split company in two, Bloomberg reports. Symantec overall option implied volatility of 26 compares to its 26-week average of 25.

CBOE S&P 500 Skew Index (SKEW) at 120.85, compared to its 50-day moving average of 130.97. SKEW measures the purchase of out-of-the-money S&P 500 Index puts that require a very large downside move to profit from long put positions. An increase of this index indicates greater expectations for an extreme down move.

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